Lattice-based model for pricing contingent claims under mixed fractional Brownian motion (Q2684130)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Lattice-based model for pricing contingent claims under mixed fractional Brownian motion |
scientific article |
Statements
Lattice-based model for pricing contingent claims under mixed fractional Brownian motion (English)
0 references
16 February 2023
0 references
mixed fractional Brownian motion
0 references
American options
0 references
binomial algorithms
0 references
discrete-time models
0 references
0 references
0 references
0 references
